Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 1 1
Score -4.78 -4.98 -7.65
Market Cap (Millions USD) 209.77 202.96 211.31
Predicted Beta 0.19 0.2 0.21
Idiosyncratic Volatility 1.23 1.22 1.72

Annualized return and volatility

EWD
Annualized Return 0.0447
Annualized Std Dev 0.3100
Annualized Sharpe (Rf=0%) 0.1442

Row

Daily Return Statistics

EWD
Observations 5112.0000
NAs 2.0000
Minimum -0.1365
Quartile 1 -0.0082
Median 0.0003
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0094
Maximum 0.1328
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0195
Skewness 0.0237
Kurtosis 6.1283

Downside Risk

EWD
Semi Deviation 0.0139
Gain Deviation 0.0142
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0137
Downside Deviation (0%) 0.0137
Maximum Drawdown 0.7427
Historical VaR (95%) -0.0300
Historical ES (95%) -0.0469
Modified VaR (95%) -0.0292
Modified ES (95%) -0.0443
From Trough To Depth Length To Trough Recovery
2000-03-06 2002-10-09 2006-04-19 -0.7427 1566 663 903
2007-07-13 2009-03-05 2011-04-21 -0.6807 969 425 544
2011-05-03 2011-09-23 2013-03-07 -0.3624 471 101 370
2014-05-22 2016-02-11 2017-05-02 -0.2558 755 444 311
2018-01-25 2018-12-24 NA -0.2332 492 235 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWD
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 3.7 2.9 0.0 -0.6 0.2 0.0 -2.3 1.5 0.0 -1.5 5.5 0.0 9.5
2001 0.6 -1.8 0.0 2.2 -2.3 0.0 0.5 0.0 -4.1 1.2 0.0 0.0 -3.7
2002 0.0 2.0 2.4 0.2 0.0 1.4 0.0 0.0 0.5 2.2 0.0 0.0 9.0
2003 0.0 0.0 1.7 -0.4 0.0 0.6 0.7 0.0 0.7 0.0 2.6 0.0 6.1
2004 0.0 0.9 3.2 0.0 -1.5 -1.4 0.0 1.1 1.1 0.5 0.1 0.0 4.0
2005 1.7 0.2 0.2 0.0 -0.8 -0.4 0.8 0.9 0.0 -0.3 2.3 0.0 4.8
2006 -0.2 1.1 0.0 -0.5 1.7 0.0 -1.2 0.5 0.0 0.5 0.2 0.0 1.9
2007 -0.1 -1.7 0.0 0.0 0.7 0.0 0.1 0.0 1.3 -2.7 0.0 0.0 -2.5
2008 2.5 0.0 3.0 1.0 0.0 -0.7 -1.1 0.0 -1.2 0.0 -11.9 0.0 -8.9
2009 0.0 0.0 6.5 1.3 5.1 3.3 0.0 -4.6 -3.7 0.0 2.7 0.0 10.6
2010 4.3 1.0 3.2 0.0 -0.7 1.3 0.0 5.5 0.0 -0.3 3.4 0.0 19.0
2011 1.1 -1.5 0.9 0.0 -2.3 1.1 -2.4 -1.5 0.0 -5.0 -1.5 0.0 -10.7
2012 2.8 0.6 0.0 0.5 -3.0 0.0 -0.4 0.0 0.5 0.9 0.0 0.0 2.0
2013 2.2 0.9 -0.5 -0.5 0.0 1.6 -0.1 0.0 1.5 -1.1 0.0 0.0 4.2
2014 0.0 0.0 1.3 -0.1 0.0 0.7 -0.5 0.0 -1.6 0.0 -0.2 0.0 -0.5
2015 0.0 0.0 -0.1 0.5 -0.2 1.2 0.0 -2.2 -0.5 0.0 0.5 0.0 -0.9
2016 -0.7 2.1 0.1 0.0 -0.2 0.4 -1.0 0.6 0.0 -0.4 -0.3 0.0 0.6
2017 0.6 1.4 0.0 0.8 0.8 0.0 0.7 0.3 0.0 -0.4 -0.4 0.0 3.7
2018 0.9 -1.3 0.0 -0.7 1.2 0.0 -0.2 0.0 -0.3 1.5 0.0 0.0 1.1
2019 0.2 0.6 2.2 -0.9 0.0 0.8 -0.2 0.0 -1.5 1.4 0.0 0.2 2.8

Row

Rolling Performance Chart

Snail Trail Chart